کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
958298 | 928980 | 2011 | 15 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Stock market trading activity and returns around milestones
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موضوعات مرتبط
علوم انسانی و اجتماعی
اقتصاد، اقتصادسنجی و امور مالی
اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
We study the relation between daily stock market trading activity and the Dow Jones Industrial Average's (DJIA) movement around millenary milestones—numbers that end in three zeros. We find aggregate turnover to be 5% lower when the DJIA level is less than 1% away from the nearest milestone. The effect emerges as the DJIA approaches a milestone from below, and is stronger for first-time milestones compared to subsequent passages. The aggregate price impact is large, such that daily stock returns show a negative abnormal performance of − 10 basis points. Our findings suggest that millenary milestones of the DJIA play a role in some investors' decision making.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Empirical Finance - Volume 18, Issue 4, September 2011, Pages 570–584
Journal: Journal of Empirical Finance - Volume 18, Issue 4, September 2011, Pages 570–584
نویسندگان
George O. Aragon, Stephan Dieckmann,